I remember a good chunk of years ago when I worked in Boston, Lil Wayne was supposed to play a winter concert. He never took the stage, though, because he refused to go through a metal detector prior to getting into the venue -- so he just up and left.
That seemed like the only time he's done that since, up until this past weekend, where he was supposed to perform at a South Carolina concert. Similar situation -- he refused to go through a security checkpoint to get into the building to perform, so he just up and bailed all together. The venue is now offering refunds to ticket buyers.